Arbeitspapier

The leading premium

In this paper, we consider conditional measures of lead-lag relationships between aggregate growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 3.6% higher than that of firms in lagging industries. Using both time series and cross sectional tests, we estimate an annual pure timing premium ranging from 1.2% to 1.7%. This finding can be rationalized in a model in which (a) agents price growth news shocks, and (b) leading industries provide valuable resolution of uncertainty about the growth prospects of lagging industries.

Language: Englisch

Bibliographic citation: Series: SAFE Working Paper ; No. 371

Classification: Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy

Event: Geistige Schöpfung

(who): Croce, Mariano M.
Marchuk, Tatyana
Schlag, Christian

Event: Veröffentlichung

(who): Leibniz Institute for Financial Research SAFE

(where): Frankfurt a. M.

(when): 2022

DOI: doi:10.2139/ssrn.2692892

Handle: http://hdl.handle.net/10419/266690

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Croce, Mariano M.
Marchuk, Tatyana
Schlag, Christian
Leibniz Institute for Financial Research SAFE

Time of origin

2022

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